411 citations · 1.8k across the 35 of their papers we have counts for
8 papers · 1 filter
Scale-free relaxation of a wave packet in a quantum well with power-law tails
Salvatore Miccichè, Andreas Buchleitner, Fabrizio Lillo +3
We propose a setup for which a power-law decay is predicted to be observable for generic and realistic conditions. The system we study is very simple: A quantum wave packet initial…
First Passage Time Distribution of multi-scale stationary Markovian processes
S. Micciché
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time…
The role of conditional probability in multi-scale stationary Markovian processes
Salvatore Miccichè
The aim of the paper is to understand how the inclusion of more and more time-scales into a stochastic stationary Markovian process affects its conditional probability. To this end…
Modeling long-range memory with stationary Markovian processes
Salvatore Miccichè
In this paper we give explicit examples of power-law correlated stationary Markovian processes y(t) where the stationary pdf shows tails which are gaussian or exponential. These pr…
Networks of equities in financial markets
G. Bonanno, G. Caldarelli, F. Lillo +3
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility t…
Degree stability of a minimum spanning tree of price return and volatility
Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo +1
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) v…
Long-range correlated stationary Markovian processes
Fabrizio Lillo, Salvatore Micciche', Rosario N. Mantegna
We introduce a new class of stochastic processes which are stationary, Markovian and characterized by an infinite range of time-scales. By transforming the Fokker-Planck equation o…
Volatility in Financial Markets: Stochastic Models and Empirical Results
Salvatore Micciche`, Giovanni Bonanno, Fabrizio Lillo +1
We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained a…